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Heterogeneous Beliefs about Rare Event Risk in the Lucas Orchard

Piatti, Ilaria - 2017

This paper investigates the asset pricing implications of investor disagreement about the likelihood of a systematic disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to understand how risk-sharing mechanisms affect equity and...

Persistent link: https://www.econbiz.de/10012973305

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

Stock price impact of diversity in investor beliefs

Krishnan, Murugappa - In: Applied economics letters 26 (2019) 18, pp. 1533-1536

Persistent link: https://www.econbiz.de/10012204836

David, Joel M.; Simonovska, Ina - In: Journal of international economics 99 (2016), pp. 58-77

Persistent link: https://www.econbiz.de/10011655068

The Information Content of Intraday VIX and its Expected Correlation on the S&P 500

Tapiero, Oren - 2015

resolution. Second, to emphasize the expected (intraday) conditional correlation between the S&P 500 and VIX log-returns. A …) conditional correlation between market and volatility indices …

Persistent link: https://www.econbiz.de/10013013730

Changing Expected Returns Can Induce Spurious Serial Correlation

Pukthuanthong, Kuntara; Roll, Richard; Subrahmanyam, … - 2021

Changing expected returns can induce spurious autocorrelation in returns. We show why this happens with simple examples and investigate its prevalence in actual equity data. In a key contribution, we use shifts in ex ante expected return estimates from options prices, factor models, and...

Persistent link: https://www.econbiz.de/10013321535

Unrealistic expectations: the futility of precisely estimating a stock's expected return

Das, Sanjiv R.; Ostrov, Daniel - In: Journal of investment management : JOIM 22 (2024) 1, pp. 58-64

Persistent link: https://www.econbiz.de/10014546370

Bayesian analysis of asymmetric stochastic conditional duration model

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of forecasting 34 (2015) 1, pp. 36-56

Persistent link: https://www.econbiz.de/10011305352

Short sale constraints, correlation and market efficiency

Giannikos, Christos; Gousgounis, Eleni - In: The B.E. journal of theoretical economics 18 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10011897950

Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks

Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120

Persistent link: https://www.econbiz.de/10011535857